Simulation-based sequential analysis of Markov switching stochastic volatility models

Carlos M. Carvalho; Hedibert F. Lopes

doi:10.1016/j.csda.2006.07.019

Simulation-based sequential analysis of Markov switching stochastic volatility models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2006.07.019 ◽

2007 ◽

Vol 51 (9) ◽

pp. 4526-4542 ◽

Cited By ~ 61

Author(s):

Carlos M. Carvalho ◽

Hedibert F. Lopes

Keyword(s):

Stochastic Volatility ◽

Sequential Analysis ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Simulation Based

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Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.739790 ◽

2004 ◽

Cited By ~ 5

Author(s):

Roberto Casarin

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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Particle Filters for Markov Switching Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2163902 ◽

2012 ◽

Cited By ~ 1

Author(s):

Yun Bao ◽

Carl Chiarella ◽

Boda Kang

Keyword(s):

Stochastic Volatility ◽

Particle Filters ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models

State-Space Models ◽

10.1007/978-1-4614-7789-1_2 ◽

2013 ◽

pp. 23-61 ◽

Cited By ~ 7

Author(s):

Maria Paula Rios ◽

Hedibert Freitas Lopes

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Parameter Learning ◽

Stochastic Volatility Models ◽

Filter Parameter ◽

Volatility Models

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Option Pricing with Markov Switching Stochastic Volatility Models

Advances in Pacific Basin Business, Economics and Finance ◽

10.1108/s2514-465020200000008003 ◽

2020 ◽

pp. 53-63

Author(s):

Yiying Cheng

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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Testing volatility persistence on Markov switching stochastic volatility models

Economic Modelling ◽

10.1016/j.econmod.2013.06.029 ◽

2013 ◽

Vol 35 ◽

pp. 45-50 ◽

Cited By ~ 5

Author(s):

Qi Pan ◽

Yong Li

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Persistence ◽

Volatility Models

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Simulation based inference on stochastic volatility models in an environmental study

2010 International Conference on Environmental Engineering and Applications ◽

10.1109/iceea.2010.5596135 ◽

2010 ◽

Author(s):

Esmail Amiri

Keyword(s):

Stochastic Volatility ◽

Environmental Study ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Simulation Based

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A new particle filtering approach to estimate stochastic volatility models with Markov-switching

Econometrics and Statistics ◽

10.1016/j.ecosta.2018.05.004 ◽

2018 ◽

Vol 8 ◽

pp. 204-230 ◽

Cited By ~ 2

Author(s):

Frédéric Karamé

Keyword(s):

Stochastic Volatility ◽

Particle Filtering ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Filtering Approach

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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